Market Liquidity Indices
Calculation Methodology Notes:
Volatility, Range, Composite Width, T-Cost Indices and Flow Data uses blend of most frequently traded OTR USTs, Benchmark USDIRS and FNCL MBS Coupons. Index weights across Tenors are constructed by rolling 90day platform trade volume distribution.
**Tradeweb Intraday Volatility Index uses the St. Dev. of 1 minute change in yield/price during the appropriate trading session.
Social size is defined as incomp trades of the most liquid segment of each product group (i.e. OTRs for UST), between $5K and $100K DV01 (or notional equivalent).
Data Table
| Date | Product | Tenor | T-Cost (bps) |
Comp Width (bps) |
Volatility (bps/day) |
|---|---|---|---|---|---|
| Loading data... | |||||
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